Below is our report for January 2010.
Highlights:
Model with full universe underperformed.
Model without Financials outperformed.
Model for top 1000 stocks performed better than for full universe.
Recommended weights currently more balanced across Momentum, Value, Balance Sheet and Improving Financials, with lower weight for Sentiment. Haven't seen balanced weights like this since October 2008, when the model outperformed by double digits.
IQS Report January2010.pdf
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